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Anticorrelations and subdiffusion in financial systems

Kestutis Staliunas
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Abstract

Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. Anticorrelations of price returns, and subdiffusion of prices is found from the model, and and compared with those calculated from historical $/EURO exchange rates.

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Kestutis Staliunas. 2002-03-28. Anticorrelations and subdiffusion in financial systems. https://arxiv.org/abs/cond-mat/0203591

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